Сравнение методов

	Кросс-квантилограмма	Метод моментов для квантильной регрессии	Квантильная VAR
Область	Эконометрика	Эконометрика	Эконометрика
Семейство	Regression model	Regression model	Regression model
Год появления	2012	2004	2006
Автор метода	Oliver Linton and Yoon-Jin Whang	Roger Koenker and colleagues	Koenker and Xiao
Тип	Correlation measure	Distribution regression	Distribution impulse response
Основополагающий источник	Linton, O., & Whang, Y. J. (2012). Quantile comparisons of time series data. Journal of Econometrics, 170(2), 242-257.	Koenker, R. (2004). Quantile regression for longitudinal data. Journal of Multivariate Analysis, 91(1), 74-89.	Koenker, R., & Xiao, Z. (2006). Quantile autoregression. Journal of the American Statistical Association, 101(475), 980-990.
Другие названия	—	GMM quantile regression	Quantile-based impulse response
Связанные	3	3	3
Сводка	The cross-quantilogram extends the cross-correlogram concept to quantile pairs of two time series, measuring dependence at different quantile levels. Introduced by Linton and Whang (2012), it captures how shocks at specific quantile levels in one series relate to movements in another, enabling asymmetric dependence analysis. This approach is particularly valuable when downside and upside risk correlations differ materially.	Method of Moments Quantile Regression combines moment-based estimation (GMM) with quantile regression to estimate distribution parameters while handling endogeneity, panel structure, and dynamic relationships. Introduced by Koenker (2004) and developed by Machado and Mata (2005), it enables distributional analysis (not just mean regression) in complex settings like dynamic panels and instrumental-variable contexts. This approach is powerful for understanding heterogeneity in treatment effects and policy impacts.	Quantile VAR estimates impulse responses of multivariate systems conditional on different quantiles of the distribution, revealing how shocks propagate heterogeneously across the conditional distribution. Introduced by Koenker and Xiao (2006) and applied to risk measurement by White et al. (2015), it reveals tail behavior and contagion effects invisible to mean-based VAR analysis. This is essential for risk management and understanding how crises propagate differently than normal times.